Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 1 | 1 | 1 |
| Score | -7.59 | -6.78 | -8.82 |
| Market Cap (Millions USD) | 290.48 | 259.45 | 313.54 |
| Predicted Beta | 0.65 | 0.65 | 0.67 |
| Idiosyncratic Volatility | 1.89 | 2.14 | 3.26 |
Annualized return and volatility
| IXG | |
|---|---|
| Annualized Return | 0.0391 |
| Annualized Std Dev | 0.2562 |
| Annualized Sharpe (Rf=0%) | 0.1526 |
Row
Daily Return Statistics
| IXG | |
|---|---|
| Observations | 4630.0000 |
| NAs | 484.0000 |
| Minimum | -0.1440 |
| Quartile 1 | -0.0054 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0066 |
| Maximum | 0.1394 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0161 |
| Skewness | 0.0875 |
| Kurtosis | 12.1163 |
Downside Risk
| IXG | |
|---|---|
| Semi Deviation | 0.0115 |
| Gain Deviation | 0.0125 |
| Loss Deviation | 0.0133 |
| Downside Deviation (MAR=210%) | 0.0159 |
| Downside Deviation (Rf=0%) | 0.0114 |
| Downside Deviation (0%) | 0.0114 |
| Maximum Drawdown | 0.7842 |
| Historical VaR (95%) | -0.0234 |
| Historical ES (95%) | -0.0399 |
| Modified VaR (95%) | -0.0219 |
| Modified ES (95%) | -0.0219 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2018-01-04 | -0.7842 | 2714 | 455 | 2259 |
| 2002-04-22 | 2002-10-09 | 2003-10-06 | -0.3308 | 377 | 122 | 255 |
| 2018-01-29 | 2018-12-24 | NA | -0.2662 | 490 | 233 | NA |
| 2006-05-10 | 2006-06-13 | 2006-10-03 | -0.1348 | 104 | 24 | 80 |
| 2004-02-18 | 2004-05-17 | 2004-11-03 | -0.1175 | 183 | 64 | 119 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IXG | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | 0.0 | NA |
| 2002 | 0.0 | 0.0 | 0.0 | 0.4 | 0.0 | 0.0 | -1.0 | 0.0 | 7.0 | 1.7 | 0.0 | 0.0 | 8.1 |
| 2003 | 0.0 | 0.0 | 2.6 | -0.5 | 0.0 | 0.0 | -1.0 | 0.0 | 1.6 | 0.0 | 1.1 | 0.0 | 3.9 |
| 2004 | 0.0 | 0.6 | 0.5 | 0.0 | -0.4 | -0.9 | 0.0 | 0.0 | 1.8 | 0.4 | 1.6 | 0.0 | 3.8 |
| 2005 | 1.1 | 0.4 | -1.0 | 0.0 | 0.6 | -0.3 | 0.3 | 1.2 | 0.0 | 0.2 | 1.1 | 0.0 | 3.7 |
| 2006 | 0.3 | 0.6 | 0.0 | -0.8 | 1.1 | 0.0 | -0.3 | 0.7 | 0.0 | -0.8 | -0.9 | 0.0 | -0.1 |
| 2007 | 0.7 | -0.8 | 0.0 | 0.0 | 0.3 | 0.0 | 0.3 | 0.0 | 1.9 | -3.7 | 0.0 | 0.0 | -1.4 |
| 2008 | 1.5 | 0.0 | 6.0 | 2.1 | 0.0 | 0.2 | -0.3 | 0.0 | 1.7 | 0.0 | -11.2 | 0.0 | -0.9 |
| 2009 | 0.0 | 0.0 | 2.6 | -0.2 | 1.8 | 0.6 | 0.0 | -3.8 | -4.3 | 0.0 | 1.5 | 0.0 | -2.1 |
| 2010 | 1.5 | 0.0 | 1.5 | 0.0 | -1.9 | 0.2 | 0.0 | 3.9 | 0.8 | -0.2 | 2.6 | 0.0 | 8.5 |
| 2011 | 2.1 | -2.2 | 0.9 | 0.0 | -3.3 | 1.9 | -0.3 | -1.6 | 0.0 | -4.7 | -1.1 | 0.0 | -8.2 |
| 2012 | 2.0 | 1.7 | 0.0 | 0.8 | -3.1 | 0.0 | -0.3 | 0.0 | 0.9 | 1.7 | 0.0 | 0.0 | 3.8 |
| 2013 | 0.7 | 0.0 | -0.9 | -0.5 | 0.0 | 0.8 | 1.9 | 0.0 | 0.9 | -0.3 | 0.0 | 0.0 | 2.6 |
| 2014 | 0.0 | 0.0 | 1.1 | 0.4 | 0.0 | 0.8 | -0.9 | 0.0 | -0.9 | 0.0 | -0.6 | 0.0 | -0.2 |
| 2015 | 0.0 | 0.0 | 0.4 | 0.6 | -0.2 | 0.9 | 0.0 | -3.5 | 0.5 | 0.0 | 1.6 | 0.0 | 0.2 |
| 2016 | -0.9 | 3.1 | 0.1 | 0.0 | -0.1 | 0.0 | -0.7 | 0.5 | 0.0 | -0.5 | 0.9 | 0.0 | 2.5 |
| 2017 | 0.3 | 2.2 | 0.0 | 0.5 | 0.7 | 0.0 | 0.9 | 0.2 | 0.0 | 0.1 | 0.1 | 0.0 | 5.2 |
| 2018 | 0.4 | -1.2 | 0.0 | -0.1 | 0.9 | 0.0 | -0.2 | 0.0 | 0.1 | 0.8 | 0.0 | 0.0 | 0.6 |
| 2019 | -0.1 | 0.3 | 2.2 | -0.6 | 0.0 | 0.8 | -1.7 | 0.0 | -1.7 | 1.0 | 0.0 | -0.1 | 0.1 |
Row
Rolling Performance Chart
Snail Trail Chart
